A UNIFIED APPROACH TO THE STUDY OF SUMS, PRODUCTS, TIME-AGGREGATION AND OTHER FUNCTIONS OF ARMA PROCESSES

DOI10.1111/J.1467-9892.1984.TB00384.XzbMATH Open0541.62072OpenAlexW1983252614MaRDI QIDQ3327558FDOQ3327558

Authors: Eduardo M. R. A. Engel 

Publication date: 1984

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1984.tb00384.x

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zbMATH Keywords

sumsproductsautocovariance functionautoregressive-moving average modeltransformed variablestime-aggregationBox and Jenkins transfer function modelfunctions of ARMA processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Title not available (Why is that?)
• The Effect of Aggregation on Prediction in the Autoregressive Model
• A note on the time series which is the product of two stationary time series

Cited In (8)

• Maximum likelihood estimation for arma models in the presence of ARMA errors
• Structural econometric modeling and time series analysis
• Identification of composite (∑+II) arma models by relatively simpler models
• A single series representation of multiple independent ARMA processes
• On the study of some functions of multivariate ARMA processes
• A looser cointegration concept using fractional integration parameters and quantification of market responsiveness
• Tensorial products of functional ARMA processes
• Title not available (Why is that?)

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